Why won't the location of the light affect the direction of the shadows?
Your lighting source is probably set to "Sun".  The sun lamp is meant to emulate a distant light source and therefore, placement is not critical.  In fact, you could place it anywhere and it would have the same effect.  The only things that produce an observable change are the rotation, the intensity/color, and the size.

There are other types of lamps (point, spot) that would work for this scene and you could always try a mesh emission source.  All of these are detailed on this forum.



EDIT: In response to your answer and comment: it is the answer to why your lighting doesn't change no matter where you place the lamp.  The answer is because you have it set to Sun.  I said that rotation is one of the only things you can change about the sun.  Position does nothing.

The reason you're not seeing the lamps is because you aren't choosing the right intensity.  The lamp themselves work perfectly: